Abstract Thanks mainly to the work of Post Keynesian economists, it is no longer universally accepted that the forward exchange rate is an accurate, unbiased and efficient forecaster of the spot exchange rate. However, the proposition that futures prices of crude oil can be used to forecast spot prices seems to be accepted without much scrutiny. This proposition is challenged both theoretically and empirically, suggesting instead that futures prices have nothing to do with forecasting. Since spot and futures prices are related contemporaneously, futures prices are as good or as bad forecasters as spot prices, in which case it is not sound to use the futures price as a forecaster and the spot price as a benchmark. The results show that spot and futures prices are not as good forecasters as they are portrayed to be. While futures prices produce small forecasting errors, because they are related contemporaneously to spot prices, they fail to capture turning points and exhibit signs of biasedness and inefficiency. Adjusting the random walk and the unbiased efficiency equations, by including a time-varying risk premium or a drift factor, does not make the models better in terms of predicting turning points.

中文翻译：

---

期货原油价格作为现货价格的预测指标：外汇市场的教训

摘要 主要得益于后凯恩斯主义经济学家的工作，远期汇率是即期汇率准确、无偏、高效的预测指标已不再被普遍接受。然而，原油期货价格可用于预测现货价格的提议似乎没有经过太多审查就被接受。这一命题在理论上和经验上都受到挑战，相反，这表明期货价格与预测无关。由于现货价格和期货价格同时相关，期货价格与现货价格一样好或坏，在这种情况下，将期货价格作为预测指标，以现货价格作为基准是不合理的。结果表明现货和期货价格并不像他们描述的那样好预测。虽然期货价格会产生很小的预测误差，因为它们与现货价格同时相关，它们未能捕捉到转折点并表现出有偏见和低效率的迹象。通过包含随时间变化的风险溢价或漂移因子来调整随机游走和无偏效率方程，并不会使模型在预测转折点方面变得更好。